Our online help service is available to answer your question. Please don't mention your account numbers or any critical data at this point, and only if you're asked by Amundi Client Service.

Select your profile* :
Individuals investor
Financial professionals

* Required fields

The Captcha field is wrong or empty

The personal data collected above are intended for AMUNDI ASSET MANAGEMENT and are for the sole purpose of enabling you to receive a response to your request for information.
AMUNDI ASSET MANAGEMENT undertakes to keep your personal data for the duration of our exchanges. In accordance with the European Regulation on the processing of personal data (RGPD 2016/679), you have the right to access, rectify, and delete your data by writing to AMUNDI ASSET MANAGEMENT BSC/SEC/PCA - 90, bd Pasteur - CS 21564 - 75730 Paris – FRANCE or by e-mail to dpo@amundi.com.By checking the box above, you declare that you understand and accept these conditions.

Important legal information. Please read these terms and conditions carefully

This part of our website is for the attention of “Professional” investors. In the European Union, it is not for non-professional investors as defined in the MIFID or in each local regulation for the general public and nor for "US Person".
This website is solely for information purposes. There is no guarantee that any targeted performance or forecast will be achieved. Amundi owns the copyright and all other intellectual property rights in the website.

Forex markets: the nuts and bolts of the carry factor

Abstract

The purpose of this discussion paper is to make it possible to understand and identify sources of performance and risk that are related to the foreign currency carry factor. The concept of carry factor comes up in many asset classes, and may be further divided, for example, into:

rates in the context of a sharply increasing yield curve, by investing over long durations and borrowing short maturities;

credit in a stable market context, by investing in high-grade corporate bonds;

commodities in backwardation, by being the seller of long-term maturities of futures prices and buyers of cash prices;

equity markets, by arbitrating the spot price relative to the future price.

The carry factor of a future based on a stock index is defined as the expected value of the dividend yield minus the risk-free rate, all multiplied by the ratio of the spot price and future price. tudying this factor is essential to a «factor investing» approach, due to its presence in all the major asset classes.

Currencies were the natural substrate for managing carry factor. The entire project is aimed at understanding the behaviour of this risk factor in different economic and geographic contexts in order to be able to decide whether it makes sense to include it when constructing a portfolio.